• Journal of applied mathematics & informatics
• /
• v.23 no.1_2
• /
• pp.87-99
• /
• 2007

In this paper, we consider the Sparre Andersen risk model modified by the inclusion of interest on the surplus. By using the techniques of Cai and Dickson [Ins.: Math. Econ. 32(2003)], we give the functional and also the exponential type upper bounds for the tail probability of the deficit at ruin. Some special cases are also discussed.